Zobrazeno 1 - 10
of 142
pro vyhledávání: '"Peralta, Óscar A."'
Continuous-time semi-Markov finite state-space jump processes are considered, inspired by a duration-dependent life insurance model. New approximations using grid-conditional homogeneous Markov jump-processes are developed, based on a recent adaptati
Externí odkaz:
http://arxiv.org/abs/2312.06784
The Mean-Field approximation is a tractable approach for studying large population dynamics. However, its assumption on homogeneity and universal connections among all agents limits its applicability in many real-world scenarios. Multi-Population Mea
Externí odkaz:
http://arxiv.org/abs/2310.16326
This paper presents a novel model for bivariate stochastic fluid processes that incorporate a ruin-dependent behavioral switch. Unlike typical models that assume a shared underlying process, our model allows each process to operate independently unti
Externí odkaz:
http://arxiv.org/abs/2307.16567
This paper investigates the convergence of Wong--Zakai approximations to regime-switching stochastic differential equations, generated by a collection of finite-variation approximations to Brownian motion. We extend the results of Nguyen and Peralta
Externí odkaz:
http://arxiv.org/abs/2304.10062
We endow the classical stochastic fluid process with a duration-dependent Markovian arrival process (DMArP). We show that this provides a flexible model for the revenue of a solar energy generator. In particular, it allows for heavy-tailed interarriv
Externí odkaz:
http://arxiv.org/abs/2304.06185
Autor:
Albrecher, Hansjoerg, Peralta, Oscar
Hybrid stochastic differential equations are a useful tool to model continuously varying stochastic systems which are modulated by a random environment that may depend on the system state itself. In this paper, we establish the pathwise convergence o
Externí odkaz:
http://arxiv.org/abs/2211.01844
Autor:
Bladt, Martin, Peralta, Oscar
The study of time-inhomogeneous Markov jump processes is a traditional topic within probability theory that has recently attracted substantial attention in various applications. However, their flexibility also incurs a substantial mathematical burden
Externí odkaz:
http://arxiv.org/abs/2204.02954
Autor:
Segunda, Moisés N., Cortez, Jahaira, Díaz, Carlos, Arancibia, Richard, Torres, Cristian G., Parraguez, Víctor H., De los Reyes, Mónica, Peralta, Oscar A.
Publikováno v:
In Theriogenology December 2024 230:192-202
In this paper, a class of multivariate matrix-exponential affine mixtures with matrix-exponential marginals is proposed. The class is shown to possess various attractive properties such as closure under size-biased Esscher transform, order statistics
Externí odkaz:
http://arxiv.org/abs/2201.11122
Autor:
Peralta, Oscar
Let $f$ be the density function associated to a matrix-exponential distribution of parameters $(\alpha, T,s)$. By exponentially tilting $f$, we find a probabilistic interpretation which generalises the one associated to phase-type distributions. More
Externí odkaz:
http://arxiv.org/abs/2103.02722